Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0046
Annualized Std Dev 0.7195
Annualized Sharpe (Rf=0%) 0.0064

Row

Daily Return Statistics

Close
Observations 3083.0000
NAs 1.0000
Minimum -0.3458
Quartile 1 -0.0221
Median 0.0030
Arithmetic Mean 0.0011
Geometric Mean 0.0000
Quartile 3 0.0253
Maximum 0.2767
SE Mean 0.0008
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0027
Variance 0.0021
Stdev 0.0453
Skewness -0.3054
Kurtosis 5.0869

Downside Risk

Close
Semi Deviation 0.0329
Gain Deviation 0.0302
Loss Deviation 0.0338
Downside Deviation (MAR=210%) 0.0367
Downside Deviation (Rf=0%) 0.0324
Downside Deviation (0%) 0.0324
Maximum Drawdown 0.9258
Historical VaR (95%) -0.0693
Historical ES (95%) -0.1074
Modified VaR (95%) -0.0727
Modified ES (95%) -0.1286
From Trough To Depth Length To Trough Recovery
2011-04-11 2020-03-23 NA -0.9258 2503 2252 NA
2009-01-07 2009-03-02 2009-05-04 -0.6490 81 37 44
2009-11-17 2010-05-20 2010-11-04 -0.5139 244 127 117
2009-06-02 2009-06-22 2009-07-23 -0.3263 37 15 22
2009-10-15 2009-10-30 2009-11-16 -0.2691 23 12 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA 5 5
2009 -3.9 0.7 10.5 4.7 13.4 4.4 1.2 -5.9 -8.5 -12.6 8.1 0.9 10
2010 7.7 4.7 6.9 -3.3 -5.5 1.6 1.6 10 4.4 3.2 8.1 2.4 49.2
2011 6.4 -3.5 4.4 2.8 -5.3 3.7 -0.4 -1.5 -13 -7.3 -1 0.3 -14.9
2012 6.7 2.9 2.3 1.9 -7.8 13.6 0.2 2.4 2.7 5.1 -0.1 4.6 38.6
2013 1.9 0.9 -3.5 -3.4 -5.3 1.2 5.3 2.4 5.8 0.2 3 2.5 11
2014 0.4 -1.9 3.2 0.5 -4 2.7 1.7 -0.6 -6.1 1.2 -5.1 0 -8.3
2015 -8.2 -0.4 3.7 1.8 -0.7 0 3 -11.7 1.4 0.5 2.7 -0.8 -9.5
2016 -2.6 10.4 -0.8 -1.2 -0.4 2.6 -0.7 2.1 1.6 -2.6 -3.2 -1.9 2.5
2017 0.4 4.3 -2.4 1.6 3 1.6 1.1 2.2 3.3 1.7 -1.8 1.4 17.4
2018 -4 -0.8 6.1 -1.5 3.7 4.6 -2.5 1.8 0.2 10.6 -0.6 -1.2 16.7
2019 -2.2 0 4.8 -2.2 1.2 3.8 -5.8 2.2 -1.8 4.3 -4.6 0.4 -0.4
2020 -6.2 -0.9 -12.3 -10.9 7.8 3.3 -2 5.2 2.9 -3.8 5.5 -0.3 -13.3
2021 8.4 8 2.9 NA NA NA NA NA NA NA NA NA 20.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart